Tesouro Direto prices re-decided from the official rule table

The field is the result: an almost uniform texture of reproduced prices, with the exceptions where they are. The buy side is drawn because it carries the settlement convention; the sell side (D+0) reproduces at 99.01% and its exceptions are in the table of §3.

Three things the methodology does not say about Tesouro Direto’s published prices were pre-registered as hypotheses and decided row by row: on which day a purchase and a sale settle, and how a 6-decimal price becomes the 2-decimal one printed. The census answers: buy D+1 across the whole history; sell D+1 until 2021-09-10, sell D+0 since — a change of settlement convention made during 2021 and not printed beside the price (752 sell-side prices of 2021 reproduce only under D+0, every one from 2022 on; 27 earlier prices do too, on 6 days where both settlements were quoted); centavos truncated throughout. Where every hypothesis fails, the row is OFF; the table shows how many, by year.

A calendar is dated. The pinned holiday file is the one ANBIMA serves today, and it carries a holiday that did not exist when most of these prices were published: 20 November, national since Lei 14.759 of 21 December 2023. A quotation of 2019 for a title maturing in 2029 was priced with the calendar of 2019, in which 2024, 2025, 2026 and 2028 each had one more business day than today’s file says (2027’s 20 November is a Saturday). Re-decided with today’s calendar those prices are OFF by exactly that many days; re-decided with the calendar as of the quotation they are the rule’s value to the centavo. The pre-registration’s second amendment added that hypothesis after the full run showed the pattern (du + 1 for 2025 maturities, + 2 for 2026, + 4 for 2029 on a seeded sample of 30 rows); the rows that need it are the brighter lines in the atlas and the “calendar as of quote only” columns here. Around the law’s date the census reads, per quotation day, how many rows reproduce only under today’s calendar and how many only under the old one; the last day priced on the old calendar is 2023-12-22 and the first priced on the new one is 2023-12-26.

The settlement skip: Tesouro Direto quotes on 24 and 31 December but does not settle on them, and the ANBIMA holiday file says in its own notes that it lists only days that close bank reserves and omits the last business day of the year. The amendment of 2026-10-16 in the pre-registration added that hypothesis after the first 4,000 rows showed it; the rows that need it are counted apart, never folded into the primary count.

The first 80 of 887 rows; every row is in certs/pu-ledger.json (offRows). A difference of a few centavos with the sign of a later settlement is a settlement-day convention; a difference of about R$ 48 on an NTN-F quoted on the last business day of the year is a coupon gone ex because settlement crossed 1 January. Of the 887 rows, 664 are quotations whose next business day on the pinned calendar is a day the São Paulo exchange did not settle on — 25 January, 9 July and 20 November, which B3 observed as local holidays in those years, or 24 and 31 December — or sit in the last week of a year. The pattern says the settlement calendar is B3’s and not the bank calendar the methodology counts du on; B3’s historical trading calendar is not among the pinned sources, so these rows stay OFF here and the hypothesis is named for phase B. What is claimed: the printed number is not the methodology’s value for the printed rate on the pinned calendar under the pre-registered settlements. What is not claimed: that the publisher erred — a settlement rule or a calendar the publisher used and did not publish is a NEEDS DATA reading, and the pre-registration names it as such.